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Jul
17
comment Are there any standard techniques for adding realistic synthetic microstructure noise to a price series?
@Serg Is this (using the difference between future and current) any better than using the difference between previous and current? I.e. your answer implies that if the market is about to get more volatile (bigger jumps between prices) then there is more noise in current. Is that an observable phenomena?
Jul
10
comment Why use a column database for tick/bar data?
@chrisaycock By "aggregate" do you mean things like turning ticks into 1m bars, 1m bars into hourly bars, etc.? And/or do you mean making moving averages and other more complicated indicators? And/or something else?
Jul
10
comment Why use a column database for tick/bar data?
Thanks @chrisaycock I had read one of those in my hunt yesterday, but the first link I'd missed and it was very informative (I'm still working through the linked 85-page PDF, but that looks useful too). I've added more information to my question to explain why I don't feel the linked-to answers fully answer my question.
Jul
10
revised Why use a column database for tick/bar data?
Explain why I don't think other similars questions are answering the question here.
Jul
10
revised Efficiently storing real-time intraday data in an application agnostic way
edited tags
Jul
9
comment Why use a column database for tick/bar data?
Another question: I usually think in terms of one table per symbol (instrument/contract). Reading between the lines of your answer, when you have a column-oriented DB do you keep all symbols in one table?
Jul
9
comment Why use a column database for tick/bar data?
Thanks for the reply Freddy. When you say column DBs are all about Key/Value, what is the key? When I think tick/bar data, the key is a datestamp, but that is a row-oriented concept, isn't it?
Jul
9
asked Why use a column database for tick/bar data?
Jul
9
awarded  Organizer
Jul
9
revised Usage of NoSQL storage in Finance
edited tags
Jun
21
answered Tick data collection
May
30
revised Reseach on when people/institutions sell?
I'm guessing "noble prices" was supposed to be "Nobel prizes"
May
30
suggested approved edit on Reseach on when people/institutions sell?
May
26
awarded  Popular Question
Apr
18
accepted How to remove the risk element from a set of fixed rate mortgage offerings?
Apr
18
accepted Evaluating automated trading strategies: accepted practice
Apr
16
comment Free intra-day equity data source
Answering my own question, Google Finance keeps 15 days of intraday data, 3 years of EOD daily data (I couldn't find an authoritative source, but a few blogs gave these numbers).
Apr
15
comment Free intra-day equity data source
Thanks, that is a useful source. How far back does the minute data go back? I tried with one stock, requesting 720d, but it only went back 18 days (March 26th to April 13th). Is there a way to specify start and/or end date and make multiple requests to get it further back?
Apr
11
comment Free intra-day equity data source
@user508 Great tip, thanks! I've just been playing with the IBrokers package, and I was indeed able to get minute bars for a day a year ago (for a Japanese equity). It also worked for an expired Mini-Nikkei futures contract for one day a year ago. OTOH, I couldn't get minute data for even a week ago for EUR/USD.
Mar
7
comment Is there an open source alternative to Reuters Kondor+?
Incidentally, anyone have a reliable link to a page about Kondor+ ? Reuters website keeps giving me 404s, even when following links in their own search results!